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A pricing and performance study on auto-callable structured products
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Abstract

We propose an algorithm to price and analyze the performance of auto-callable structured _nancial products. The algorithm contains Monte-Carlo simulations in order to reproduce, as probable as possible, a future product. This model is then compared to other, previously presented models. The di_erent in-data parameters together with a time dependency study is then performed to evaluate what one might expect when investing in these products. Numerical results conclude that, the risks taken by the investor closely reect the potential return for each product. When constructing these products for the near future, one must closely evaluate the demand from the investors i.e. evaluate the level of risk that the investors are willing to take.

Place, publisher, year, edition, pages
2012. , 63 p.
Series
Trita-MAT, ISSN 1401-2286 ; 15
Keyword [en]
Structured products, Auto-callable products, Monte-Carlo
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-102701OAI: oai:DiVA.org:kth-102701DiVA: diva2:555900
External cooperation
Ecole Nationale des Ponts et Chaussées, Paris
Educational program
Master of Science in Engineering - Vehicle Engineering
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2012-09-21 Created: 2012-09-21 Last updated: 2012-09-21Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf